It would be great if this had the ability to export the all worksheets at once into Excel even if it is to multiple excel files. Similar to printing all the whole workbook to PDF. An additional feature would be to export into Word or Powerpoint for those who do not have access to Tableau.
--> Community Manager update [Ciara Brennan]
Also refer to Duplicate Ideas
https://community.tableau.com/ideas/6490 ( 16 Votes )
https://community.tableau.com/ideas/7522 ( 9 Votes )
See note courtesy of Sean Boon re. extension that can be used to export to Excel workbook